Related papers: Yet Another Distributional Bellman Equation

A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov are adapted to investigate the numerical solutions of the corresponding normalized Bellman equations and to estimate the rate of…

We propose a principled kernel-based policy iteration algorithm to solve the continuous-state Markov Decision Processes (MDPs). In contrast to most decision-theoretic planning frameworks, which assume fully known state transition models, we…

Probabilistic model checking can provide formal guarantees on the behavior of stochastic models relating to a wide range of quantitative properties, such as runtime, energy consumption or cost. But decision making is typically with respect…

An in-depth understanding of the particular environment is crucial in reinforcement learning (RL). To address this challenge, the decision-making process of a mobile collaborative robotic assistant modeled by the Markov decision process…

Markov decision processes (MDP) are a well-established model for sequential decision-making in the presence of probabilities. In robust MDP (RMDP), every action is associated with an uncertainty set of probability distributions, modelling…

Regular Decision Processes (RDPs) are a recently introduced model that extends MDPs with non-Markovian dynamics and rewards. The non-Markovian behavior is restricted to depend on regular properties of the history. These can be specified…

Markov Decision Processes (MDPs) offer a fairly generic and powerful framework to discuss the notion of optimal policies for dynamic systems, in particular when the dynamics are stochastic. However, computing the optimal policy of an MDP…

We consider Markov decision processes (MDPs) with unknown disturbance distribution and address this problem using the robust Markov decision process (RMDP) approach. We construct the empirical distribution of the unknown disturbance…

Interval Markov decision processes are a class of Markov models where the transition probabilities between the states belong to intervals. In this paper, we study the problem of efficient estimation of the optimal policies in Interval…

In most common settings of Markov Decision Process (MDP), an agent evaluate a policy based on expectation of (discounted) sum of rewards. However in many applications this criterion might not be suitable from two perspective: first, in risk…

This paper addresses objectives tailored to the risk-averse optimization of accumulated rewards in Markov decision processes (MDPs). The studied objectives require maximizing the expected value of the accumulated rewards minus a penalty…

In this paper, we study a mean-variance optimization problem in an infinite horizon discrete time discounted Markov decision process (MDP). The objective is to minimize the variance of system rewards with the constraint of mean performance.…

This paper investigates the optimization problem of an infinite stage discrete time Markov decision process (MDP) with a long-run average metric considering both mean and variance of rewards together. Such performance metric is important…

Markov Decision Processes (MDPs) are a mathematical framework for modeling sequential decision making under uncertainty. The classical approaches for solving MDPs are well known and have been widely studied, some of which rely on…

We study infinite-horizon Markov decision processes (MDPs) where the decision maker evaluates each of her strategies by aggregating the infinite stream of expected stage-rewards. The crucial feature of our approach is that the aggregation…

We propose a distributionally robust return-risk model for Markov decision processes (MDPs) under risk and reward ambiguity. The proposed model optimizes the weighted average of mean and percentile performances, and it covers the…

This paper studies the expected value of multiplicative rewards, where rewards obtained in each step are multiplied (instead of the usual addition), in Markov chains (MCs) and Markov decision processes (MDPs). One of the key differences to…

The standard RL world model is that of a Markov Decision Process (MDP). A basic premise of MDPs is that the rewards depend on the last state and action only. Yet, many real-world rewards are non-Markovian. For example, a reward for bringing…

Motivated by many application problems, we consider Markov decision processes (MDPs) with a general loss function and unknown parameters. To mitigate the epistemic uncertainty associated with unknown parameters, we take a Bayesian approach…

We study value-iteration (VI) algorithms for solving general (a.k.a. multichain) Markov decision processes (MDPs) under the average-reward criterion, a fundamental but theoretically challenging setting. Beyond the difficulties inherent to…